Asymptotic methods for the Fokker-Planck equation and the exit problem in applications (Q1288103)

This monograph deals with stochastic differential equations for which these boundary value problems cannot be solved by the standard singular perturbation technique. The authors mention the situation in which everywhere at the boundary the deterministic component is pointing to the inside of a domain in state space. Then the boundary value problem for exit from this domain is of a turning point type. Moreover, the authors study problems from population dynamics for which both the drift and diffusion vanish at a boundary. Finally, they deal with the problem of unlikely exit requiring a WKB-type of asymptotic analysis. In Part I the authors present a very elementary exposition of stochastic integration. The authors deal with only those subjects that are needed for our singular perturbation analysis of the Fokker-Planck equation in Part II. Next, in Part III the authors study the application of this singular perturbation method in some problems of the natural sciences. In Chapter 6 the spread of pollution by dispersive groundwater flow is analyzed, and in Chapters 7 and 9 problems from stochastic population dynamics are investigated. In Chapter 8 the authors give a survey of the literature on stochastic oscillation and show which position the singular perturbation method takes in this field. Finally, in Chapter 10 the authors study a Markov chain approximation for which the transition probabilities are derived from the Fokker-Planck equation. The book will be useful to researchers and graduate students.